Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 3
Score -1.8 -0.13 -0.71
Market Cap (Millions USD) 50.46 48.17 47.19
Predicted Beta 0.15 0.15 0.16
Idiosyncratic Volatility 0.98 1.1 1.13

Annualized return and volatility

EWK
Annualized Return 0.0418
Annualized Std Dev 0.2428
Annualized Sharpe (Rf=0%) 0.1721

Row

Daily Return Statistics

EWK
Observations 5111.0000
NAs 2.0000
Minimum -0.1354
Quartile 1 -0.0063
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0076
Maximum 0.1084
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0153
Skewness -0.2150
Kurtosis 7.1495

Downside Risk

EWK
Semi Deviation 0.0111
Gain Deviation 0.0110
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.7410
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0373
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0411
From Trough To Depth Length To Trough Recovery
2007-07-13 2009-03-09 2017-06-02 -0.7410 2534 427 2107
2000-01-04 2003-03-12 2004-02-06 -0.5211 1048 814 234
2018-01-29 2018-12-24 NA -0.2872 489 233 NA
2006-05-11 2006-06-13 2006-08-30 -0.1605 79 23 56
2004-02-18 2004-05-13 2004-08-26 -0.1189 135 62 73

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWK
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.0 -1.5 0.0 -2.0 -2.4 0.0 -3.1 0.5 0.0 0.0 2.1 0.0 -5.4
2001 1.2 0.0 0.0 0.0 -0.7 0.0 1.6 0.0 0.0 0.9 0.0 0.0 3.0
2002 -0.1 0.6 0.6 0.0 0.0 0.3 -3.0 0.0 2.3 1.6 0.0 0.0 2.3
2003 0.0 0.0 1.8 -0.2 0.0 -0.8 -1.2 0.0 4.1 0.0 1.4 0.0 5.0
2004 0.0 1.3 1.9 0.0 0.3 -0.9 0.0 1.5 1.4 -0.1 1.8 0.0 7.4
2005 0.6 0.0 -0.1 0.0 -0.4 -0.3 1.0 1.2 0.0 -0.3 0.8 0.0 2.4
2006 0.0 0.6 0.0 -0.4 0.1 0.0 -0.2 0.8 0.0 0.2 -0.6 0.0 0.5
2007 0.1 -1.6 0.0 0.2 0.1 0.0 0.4 0.0 0.2 -2.2 0.0 0.0 -2.8
2008 1.7 0.0 2.7 1.1 0.0 -1.3 0.2 0.0 1.4 0.0 -6.0 0.0 -0.6
2009 0.0 0.0 2.1 0.4 1.0 2.1 0.0 -2.9 -2.9 0.0 2.9 0.0 2.5
2010 2.7 0.6 1.2 0.0 -0.6 2.4 0.0 3.9 0.8 0.0 3.6 0.0 15.5
2011 2.3 -0.3 1.2 0.0 -2.0 0.7 -1.7 -1.7 0.0 -3.6 -1.5 0.0 -6.5
2012 2.4 0.6 0.0 1.0 -2.1 0.0 0.2 0.0 0.1 0.2 0.0 0.0 2.4
2013 2.9 -0.5 -0.6 -0.7 0.0 0.1 1.0 0.0 0.4 -0.8 0.0 0.0 1.8
2014 0.0 0.0 0.6 0.5 0.0 0.9 -0.9 0.0 -1.0 0.0 0.1 0.0 0.1
2015 0.0 0.0 0.8 0.9 -0.7 1.3 0.0 -1.9 0.4 0.0 0.6 0.0 1.3
2016 0.2 2.5 0.5 0.0 1.3 0.2 -1.6 0.9 0.0 -0.2 -0.9 0.0 2.7
2017 0.6 1.3 0.0 0.2 0.9 0.0 0.2 0.1 0.0 0.0 0.1 0.0 3.6
2018 0.7 -0.4 0.0 -0.3 0.5 0.0 -0.2 0.0 0.1 2.3 0.0 0.0 2.7
2019 0.3 2.1 0.9 -0.4 0.0 0.2 -0.1 0.0 -1.3 1.0 0.0 0.3 3.0

Row

Rolling Performance Chart

Snail Trail Chart